xts and Sys.time() - very stange behaviour

On 08/01/2012 01:39 PM, Joshua Ulrich wrote:

This is an issue with precision and formatting when you convert to
character.

<...>

I don't know of a solution, other than "don't do that".

I found that keeping the POSIXct object, and modifying that directly,
massively improves both speed and correctness of matching over using the
character representation with sub-second data.  This of course makes sense,
as you are matching a number to a number, rather than a number to a string
converted to a number.

Note that this isn't likely the cause, unless you are concurrently
doing something like as.character(index(x))=="2001-01-01 08:30:01.999"
with an xts object.  That will convert the internal representation of
the _entire_ index from double to "time", whatever class that may be,
and then to character!.

If you use xts subsetting itself, the 'character' turns into a POSIXct
for the value you are trying to match against.  So you only incur
_one_ conversion (instantaneous).  This numeric value is then search
for via binary search (i.e. O(log n) cost - more or less).  For
anything like tick data, binary search is going to be much faster than
a linear scan.

Anyway, all the above still fails you if you catch a floating point
issue.  I've got some ideas (no code) on a better way to do this of
course...

Jeff

Regards,

   - Brian

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Jeffrey Ryan
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www.lemnica.com